visual basic 6 user document doesn't open in IE9

[Lhuffst]

I have an VB6 project that uses user docs (active x). Normally when I run the user doc it opens in internet explorer so I can test the changes before I create the new dll. We are currently switching to Windows 7 Internet Explorer 9 and now when I try to run the user doc, it brings me to a page that says open download. Everytime I say yes, it just repeats the same question and the form never opens in the webbrowser.

I did try clicking the compatability mode icon but that doesn't seem to work either. Does anyone know what is causing this error and how to resolve the issue?
Thanks
Lhuffst